How would you challenge this algo?

themickey said:
Measure the angle of it.
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That would be a real improvement, but it is not the holy grail. In strong trends you can have retracements after which the trend continues. These retracements can go thru the angle, kicking you out and missing the next directional move .
 
Drawdown Addict said:
I've been trading this algo for a while, needless to say that it does not perform as well as it is on paper but still can scratch a good winning ratio, as opposed to the great score of 4.81 that is shown on the picture.

Trades attached. (trades.csv)
Input data attached. (MNQ.txt) JSON format.

Result:

View attachment 320281

I tried with several time frames and periods, the results are more or less the same.
I fail to believe that I hit the nail on the head and I am expecting it to break at some point. Do you have some data at hand that I could run the algo on?

For the ones that want to replicate it, it is fairly simple. It is a trend following algo with a few simple rules:
- Only one trade at a time. 5 contracts.
- Enter on a clear trend, noted by at least four candles in the same direction.
- Exit on the next candle close either if it increases o decreases 50 points.
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Time has sovereign control over profitability, so stratify your data according to the five days of the week and ask the question how is the profitability on Mondays? Tuesdays? I usually go back 10 weeks and average the profitability for each of the five days. Then within each day stratify the data further for longs versus shorts, again looking for strengths versus weakness. You may find some days consistently make money and others consistently lose it, while longs may work well on one day but shorts the other. And that way you can trade towards strength and away from weakness.
 
mason macgregorson said:
Time has sovereign control over profitability, so stratify your data according to the five days of the week and ask the question how is the profitability on Mondays? Tuesdays? I usually go back 10 weeks and average the profitability for each of the five days. Then within each day stratify the data further for longs versus shorts, again looking for strengths versus weakness. You may find some days consistently make money and others consistently lose it, while longs may work well on one day but shorts the other. And that way you can trade towards strength and away from weakness.
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Profitability per day is shown in the bar chart. It is the delta between short and longs, so I will need to separate that in two charts. I can do that, no worries.
 
Drawdown Addict said:
I've been trading this algo for a while, needless to say that it does not perform as well as it is on paper but still can scratch a good winning ratio, as opposed to the great score of 4.81 that is shown on the picture.

Trades attached. (trades.csv)
Input data attached. (MNQ.txt) JSON format.

Result:

View attachment 320281

I tried with several time frames and periods, the results are more or less the same.
I fail to believe that I hit the nail on the head and I am expecting it to break at some point. Do you have some data at hand that I could run the algo on?

For the ones that want to replicate it, it is fairly simple. It is a trend following algo with a few simple rules:
- Only one trade at a time. 5 contracts.
- Enter on a clear trend, noted by at least four candles in the same direction.
- Exit on the next candle close either if it increases o decreases 50 points.
More...
6 months of backtesting results is not enough. You need at least 2 years. And results from out-of-the-sample data as well.
But it seems promising at first
Profitable algos don't need to be complicated. Sometimes, simple rules with a few tweaks all that you need.
 
Drawdown Addict said:
I was thinking about that exactly, derivatives to find tangent slope. But it is always related to a couple of points I define. This should improve the way to exit. It is definitely a way to go.
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this is a juggling act in the mind to perform.

i would determine the 75 percentile reversionary price action and define that with boundaries.

anything outside of that would be a trend which could be ranked according to how far it deviates from the mean 75 percentile movements.
 
Drawdown Addict said:
I've been trading this algo for a while, needless to say that it does not perform as well as it is on paper but still can scratch a good winning ratio, as opposed to the great score of 4.81 that is shown on the picture.

Trades attached. (trades.csv)
Input data attached. (MNQ.txt) JSON format.

Result:

View attachment 320281

I tried with several time frames and periods, the results are more or less the same.
I fail to believe that I hit the nail on the head and I am expecting it to break at some point. Do you have some data at hand that I could run the algo on?

For the ones that want to replicate it, it is fairly simple. It is a trend following algo with a few simple rules:
- Only one trade at a time. 5 contracts.
- Enter on a clear trend, noted by at least four candles in the same direction.
- Exit on the next candle close either if it increases o decreases 50 points.
More...
Good Morning Drawdown Addict,

Please do a back test on strategy from January 1, 2006 to August, 4 2023. View the report.

When you see the results, EVERY QUESTION you have will be answered in a matter of 1 minute. You will KNOW exactly what to do next. EXACTLY what to do.

Always remember, if you want Guranteed Rest, you must Backtest.

Thank you
 
SimpleMeLike said:
Good Morning Drawdown Addict,

Please do a back test on strategy from January 1, 2006 to August, 4 2023. View the report.

When you see the results, EVERY QUESTION you have will be answered in a matter of 1 minute. You will KNOW exactly what to do next. EXACTLY what to do.

Always remember, if you want Guranteed Rest, you must Backtest.

Thank you
More...
back testing in train station is reliable, back testing and ninja is a waste and corrupt
https://ninjatrader.com/support/helpGuides/nt8/?discrepancies_real-time_vs_bac.htm
 
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